catalyst/zipline/modelling/factor/__init__.py at e529df06ea6fb87eab8c3b7e8df609f88bea055f - catalyst - Gitea: Git with a cup of tea

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Scott Sanderson ef4f642e62 ENH: Compute engine architecture for FFC API.

This patch lays the groundwork for a compute engine designed to
facilitate construction of factor-based universe screening and portfolio
allocation.  It contains:

A new module, `zipline.modelling`, containing entities that can be used
to express computations as dependency graphs.  Each node in such a graph
is an instance of the base `Term` class, defined in
`zipline.modelling.term`.  Dependency graphs are executed by instances
of `FFCEngine`, defined in `zipline.modelling.engine`.

A new module, `zipline.data.ffc`, containing loaders and dataset
definitions for inputs to the modelling API.

New `TradingAlgorithm` api methods: `add_factor`, and `add_filter`.
These methods can only be called from `initialize`, and are used to
inform the algorithm that each day it should compute the given terms.
Computed factor results are made available through a new attribute of
the `data` object in `before_trading_start` and `handle_data`.  Computed
filter results control which assets are available in the factor matrix
on each day.

2015-07-29 12:30:46 -04:00

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 from .factor import (
     Factor,
     TestingFactor,
     CustomFactor,
 )
 __all__ = [
     'Factor',
     'TestingFactor',
     'CustomFactor',
 ]